[R] Double hurdle model in R
Kyosti H Kurikka
kkurikka at cc.helsinki.fi
Wed May 4 17:40:37 CEST 2005
I am interested in utilizing this so called "double hurdle" model
in my study. We can write the model in the following way:
if (z'a + u > 0 & x'b + e > 0) y = x'b + e, else y = 0
In the model, consumption y is the (left-) censored dependent variable. e
and u are the normally distributed error terms. z'a is the participation
equation and x'b is the expenditure equation. If we would remove the
participation equation from the model we would end up with a type I
tobit-model.
In the tobit-model the same set of paprameters and variables determine
both the discrete probability of non-zero outcome and the level of
positive expenditure. In the double-hurdle-model we have separate
parametrization of the participation and consumption decisions.
I can estimate tobit-model using function survreg(). But what about this
double hurdle thing? Has somebody written a R-function for estimating this
sort of a model?
Best regards,
Kyösti Kurikka
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